Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0031
Annualized Std Dev 0.2221
Annualized Sharpe (Rf=0%) -0.0139

Row

Daily Return Statistics

Close
Observations 4252.0000
NAs 1.0000
Minimum -0.1571
Quartile 1 -0.0051
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0061
Maximum 0.2130
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0140
Skewness -0.6627
Kurtosis 28.9410

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0096
Loss Deviation 0.0126
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6717
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0352
Modified VaR (95%) -0.0173
Modified ES (95%) -0.0173
From Trough To Depth Length To Trough Recovery
2008-01-02 2009-03-09 NA -0.6717 3328 298 NA
2004-05-11 2004-07-28 2006-04-28 -0.1924 496 54 442
2006-12-12 2007-08-16 2007-12-31 -0.1582 264 170 94
2006-05-10 2006-06-14 2006-08-31 -0.1078 80 25 55
2006-10-30 2006-11-03 2006-11-27 -0.0318 20 5 15

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA 0 -0.3 1.5 -0.6 1.4 1.1 1.1 1 1.3 6.7
2005 0.2 0.4 1.2 1 -0.5 0.2 0.1 0.5 2.2 0.2 0.6 0 6.2
2006 0.1 0.1 0.4 0.2 -0.1 1.6 -0.2 0 -0.4 -0.2 0 0.4 1.7
2007 1.2 -2.6 1 0.1 0.1 -0.1 -0.7 1.4 0.6 -2.2 0.5 1.7 1.1
2008 1.2 -1.4 2.8 1.4 0.6 -0.1 -0.9 -1.2 3.7 2.4 -7.9 1.6 1.8
2009 -1.4 -2.3 2.8 0.8 2.8 1.2 0.8 -1 -2 -2.3 3.1 -0.6 1.7
2010 2.3 1.1 0.8 -0.9 -0.1 -1 0.4 1.7 0.7 -0.9 1.3 -0.5 5
2011 1.4 -1.1 0.2 0.4 -1.4 1.4 -0.1 -0.7 -2.1 -2.3 0.4 1.5 -2.5
2012 1.5 0.4 0.5 0.2 -2 2 1.2 0.8 0.8 0.6 0.3 0.9 7.3
2013 0.2 0.1 -0.4 -0.1 -1.9 -0.7 1.1 -0.7 0.4 0.3 0.2 0.5 -0.9
2014 -1.1 1.2 0.9 0.6 0.3 0.6 -1.2 0.2 -1.6 0.6 -0.5 -0.8 -0.8
2015 -0.6 0.4 -0.5 0.8 -0.2 1 0.4 -2.7 0.5 0.8 0.7 0 0.5
2016 0.4 2.4 0 -0.3 -0.3 0.9 0.3 0 0.6 0.1 -0.1 -0.4 3.4
2017 -0.1 0.5 0.1 0.2 0.2 0.2 0.1 0.7 0.3 0.4 -0.8 0.8 2.6
2018 -0.1 -0.4 0.6 -0.4 0.7 0.5 0.5 -0.5 -0.3 1.7 1.1 1.5 4.9
2019 -0.1 0.2 0.8 -0.3 -0.4 0.2 -0.5 -0.3 -1.2 0.4 -0.3 0.2 -1.4
2020 -0.8 -4.3 -4.7 -2.7 1.6 0.1 0.5 0.6 0.7 -2.6 0.6 0 -10.7
2021 1.8 -0.1 0.1 NA NA NA NA NA NA NA NA NA 1.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-04-28  20   SPY    113. -0.0129   0.0013   0.002  -4.90e-3    0.229  -0.0771   -0.169 <NA>     NA    NA       NA
2 2004-04-29  20   SPY    112. -0.0088  -0.0212  -0.0101 -1.45e-2    0.217  -0.0802   -0.181 <NA>     NA    NA       NA
3 2004-04-30  20   SPY    111. -0.0078  -0.0297  -0.0189 -2.22e-2    0.207  -0.0991   -0.192 <NA>     NA    NA       NA
4 2004-05-03  20   SPY    112.  0.0107  -0.018   -0.0143 -1.60e-2    0.203  -0.0935   -0.172 <NA>     NA    NA       NA
5 2004-05-04  20.0 SPY    112. -0.0008  -0.0196  -0.0225 -1.51e-2    0.205  -0.109    -0.166 <NA>     NA    NA       NA
6 2004-05-05  20   SPY    113.  0.0064  -0.0004  -0.0216 -6.00e-4    0.201  -0.0971   -0.154 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart